Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0892
Annualized Std Dev 0.2274
Annualized Sharpe (Rf=0%) 0.3920

Row

Daily Return Statistics

Close
Observations 3957.0000
NAs 1.0000
Minimum -0.1212
Quartile 1 -0.0057
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0076
Maximum 0.1221
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0143
Skewness -0.4423
Kurtosis 8.2805

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0097
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.6984
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0354
Modified VaR (95%) -0.0225
Modified ES (95%) -0.0443
From Trough To Depth Length To Trough Recovery
2007-07-18 2008-11-20 2013-02-11 -0.6984 1403 342 1061
2020-02-20 2020-03-18 2020-08-20 -0.4062 128 20 108
2015-07-20 2016-02-09 2017-02-21 -0.2360 402 142 260
2018-06-21 2018-12-24 2019-04-10 -0.2034 202 129 73
2014-03-07 2014-10-13 2015-02-25 -0.1372 245 153 92

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA -0.4 0.1 0.4 0.5 0 1.8 -0.8 1.5
2006 1.2 1 -0.1 -1.4 1.3 0.3 -1 0.7 -0.1 -1.6 -0.8 -0.4 -0.8
2007 0 -0.2 0.2 1.8 1.2 -0.4 0.1 1.4 2.4 -2 1.3 -0.3 5.5
2008 3.3 -1.4 2.5 3 -0.3 -1.2 -1 -1.2 0.8 2.4 -9 2.1 -0.6
2009 -3.2 1.4 1.6 0.6 3.7 2 0.8 -2.1 -1.9 -2.1 1 -0.5 1.1
2010 1.8 1.6 0.2 -1.9 -3.6 -0.4 0.7 3.4 0.4 -0.5 2.3 -0.1 3.7
2011 2 -2.4 0.5 1.7 -2.6 1.4 -0.9 -1.6 -2.4 -3 0.2 -0.6 -7.7
2012 1.4 0.5 0.7 0.1 -3.3 1.8 -0.3 0.6 0.1 1.5 0.6 2 5.7
2013 1.3 0.8 -1.4 -0.2 -1 1 1.8 -0.8 1.6 0.5 0 0.6 4.2
2014 -0.4 0.7 1.8 -0.1 -0.9 1.1 -0.4 0.2 -1.8 1.4 -1.2 -0.9 -0.6
2015 -1.7 -0.5 -0.7 -0.2 0.4 0.8 -0.1 -2.4 0.2 -0.7 1.4 0.1 -3.3
2016 0.8 2 0.7 -0.1 0.1 0.3 0 0.1 0.5 -1 -1.5 -0.9 0.9
2017 0.4 1.5 0.1 -0.1 1.6 0.4 0.3 0.9 0.7 0.4 0.3 -0.5 6.1
2018 0.7 -1.7 1.1 -1.1 1 -0.5 -0.4 -0.3 -1.1 3.5 -0.3 0.7 1.5
2019 0 1.6 1 -0.4 -1 1.2 -0.8 0.4 -0.7 0.8 -0.4 0.5 2.1
2020 -1.7 -0.6 -5.9 -2.6 2.1 1.3 0.2 1.2 2.2 -3.4 0.6 -0.1 -6.8
2021 3.5 3.6 0.7 NA NA NA NA NA NA NA NA NA 8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-06-23  15.0 SPY    120. -0.0141  -0.0127  0.003     0.0232   0.0478    0.201   -0.182 GLD    44.0  0.0069   0.0129
2 2005-06-24  14.9 SPY    119. -0.0073  -0.0196 -0.0036    0.0142   0.0452    0.220   -0.199 GLD    43.9 -0.0027   0.0062
3 2005-06-27  14.8 SPY    119.  0.0014  -0.0185 -0.0075    0.0225   0.0502    0.219   -0.195 GLD    43.9  0.0002   0.0057
4 2005-06-28  14.9 SPY    120.  0.0084  -0.0109 -0.0008    0.0167   0.0547    0.208   -0.187 GLD    43.4 -0.0105  -0.0082
5 2005-06-29  14.9 SPY    120. -0.0027  -0.0143  0.00290   0.0159   0.0463    0.211   -0.177 GLD    43.6  0.0041  -0.0021
6 2005-06-30  14.9 SPY    119. -0.0054  -0.0057 -0.011     0.0149   0.0553    0.228   -0.174 GLD    43.4 -0.0044  -0.0132
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart